Generalized Maximum Entropy Estimation of Discrete Sequential Move Games of Perfect Information
We propose a data-constrained generalized maximum entropy estimator for discrete sequential move games of perfect information. Unlike most other work on the estimation of complete information games, the method we proposed is data constrained and requires o simulation or assumptions about the distribution of random preference shocks. We formulate the GME estimation as a (convex) mixed-integer nonlinear optimization problem which can be easily implemented on optimization software with high-level interfaces such as GAMS. The model is identified with only weak scale and location normalizations. Monte Carlo evidence demonstrates that the estimator can perform well in moderately size samples. As an application we study the location choice of German siblings using the German Ageing Survey.
|Date of creation:||14 Oct 2013|
|Contact details of provider:|| Web page: http://www.wise.xmu.edu.cn/english/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Joel L. Horowitz, 1998.
"Bootstrap Methods for Median Regression Models,"
Econometric Society, vol. 66(6), pages 1327-1352, November.
- Joel L. Horowitz, 1996. "Bootstrap Methods for Median Regression Models," Econometrics 9608004, EconWPA.
- Michael J. Mazzeo, 2002. "Product Choice and Oligopoly Market Structure," RAND Journal of Economics, The RAND Corporation, vol. 33(2), pages 221-242, Summer.
- Bajari, Patrick & Hong, Han & Krainer, John & Nekipelov, Denis, 2010. "Estimating Static Models of Strategic Interactions," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(4), pages 469-482.
- Patrick Bajari & Han Hong & John Krainer & Denis Nekipelov, 2006. "Estimating Static Models of Strategic Interaction," NBER Working Papers 12013, National Bureau of Economic Research, Inc.
- Martin J. Osborne & Ariel Rubinstein, 1994. "A Course in Game Theory," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262650401, January.
- Shiko Maruyama, 2009. "Estimating Sequential-move Games by a Recursive Conditioning Simulator," Discussion Papers 2009-01, School of Economics, The University of New South Wales.
- Golan, Amos & Judge, George & Perloff, Jeffrey, 1997. "Estimation and inference with censored and ordered multinomial response data," Journal of Econometrics, Elsevier, vol. 79(1), pages 23-51, July.
- R. Carter Hill & Randall C. Campbell, 2001. "Maximum Entropy Estimation in Economic Models with Linear Inequality Restrictions," Departmental Working Papers 2001-11, Department of Economics, Louisiana State University.
- Jouneau-Sion, Frederic & Torres, Olivier, 2006. "MMC techniques for limited dependent variables models: Implementation by the branch-and-bound algorithm," Journal of Econometrics, Elsevier, vol. 133(2), pages 479-512, August. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:wyi:wpaper:002036. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (WISE Technical Team)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.